| Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences M Ames, G Bagnarosa, GW Peters Available at SSRN 2638163, 2015 | 29 | 2015 |
| Which risk factors drive oil futures price curves? M Ames, G Bagnarosa, T Matsui, GW Peters, PV Shevchenko Energy Economics 87, 104676, 2020 | 19* | 2020 |
| Tutorial on Empirical Mode Decomposition: Basis Decomposition and Frequency Adaptive Graduation in Non-Stationary Time Series C Van Jaarsveldt, GW Peters, M Ames, M Chantler IEEE Access, 2023 | 8 | 2023 |
| Upside and downside risk exposures of currency carry trades via tail dependence M Ames, GW Peters, G Bagnarosa, I Kosmidis Innovations in Quantitative Risk Management: TU München, September 2013, 163-181, 2015 | 6 | 2015 |
| Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades M Ames, G Bagnarosa, GW Peters arXiv preprint arXiv:1303.4314, 2013 | 5 | 2013 |
| Understanding the interplay between covariance forecasting factor models and risk‐based portfolio allocations in currency carry trades M Ames, G Bagnarosa, GW Peters, PV Shevchenko Journal of Forecasting 37 (8), 805-831, 2018 | 3 | 2018 |
| Package AdvEMDpy: Algorithmic variations of empirical mode decomposition in Python C van Jaarsveldt, M Ames, GW Peters, M Chantler Annals of Actuarial Science 17 (3), 606-642, 2023 | 2 | 2023 |
| Hybrid ARDL-MIDAS-Transformer time-series regressions for multi-topic crypto market sentiment driven by price and technology factors I Chalkiadakis, GW Peters, M Ames Digital Finance 5 (2), 295-365, 2023 | 1 | 2023 |
| Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression C van Jaarsveldt, G Peters, M Ames, MJ Chantler Available at SSRN 4449044, 2023 | 1 | 2023 |
| Package CovRegpy: Regularised Covariance Regression and Forecasting in Python C van Jaarsveldt, G Peters, M Ames, MJ Chantler Available at SSRN 4373433, 2023 | 1 | 2023 |
| Supplement to: Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python C van Jaarsveldt, M Ames, G Peters, MJ Chantler Available at SSRN 4233231, 2022 | 1 | 2022 |
| Consistently combining multi-factor stochastic oil commodity models with observed exogenous explanatory regression factors: Perspectives from speculators and hedgers M Ames, G Peters, G Bagnarosa, PV Shevchenko, T Matsui Available at SSRN 2840355, 2016 | 1 | 2016 |
| A Dynamic Stochastic Integrated Climate–Economic Spatiotemporal Model for Agricultural Insurance Products S Gao, G Bagnarosa, GW Peters, M Ames, T Matsui North American Actuarial Journal 28 (1), 27-56, 2024 | | 2024 |
| A Weighted Spatio-Temporal Model for County Yields M Ames, G Bagnarosa, S Gao, T Matsui, G Peters Available at SSRN 3447047, 2019 | | 2019 |
| Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves? M Ames, G Bagnarosa, T Matsui, G Peters, PV Shevchenko Available at SSRN 3312707, 2019 | | 2019 |
| Innovations in dependence modelling for financial applications MC Ames UCL (University College London), 2017 | | 2017 |
| Forecasting covariance for optimal carry trade portfolio allocations M Ames, G Bagnarosa, GW Peters, P Shevchenko, T Matsui 2017 IEEE International Conference on Acoustics, Speech and Signal …, 2017 | | 2017 |
| An Online Appendix to:'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences' M Ames, G Bagnarosa, G Peters Available at SSRN 2638103, 2015 | | 2015 |
| Investigating Multivariate Tail Dependence in Currency Carry Trade Portfolios via Copula Models M Ames | | 2013 |
Prof. Dr. Gareth W. PetersDuncan Endowed Chair Actuarial & Professor of Statistics for Risk & InsuranceVerified email at ucsb.edu
